Generalized Autoregressive Score models

Before using any code, please read the disclaimer.

R code

  1. R package corresponding to Gorgi, Paolo, Peter R. Hansen, Pawel Janus and Siem Jan Koopman (2018): "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model", Journal of Financial Econometrics.
    Computer code: R package Wishart.

  2. GAS package R by David Ardia, Kris Boudt, and Leopoldo Catania.
    Computer code: R package GAS.
    The 'development' version is available from GitHub at
    Development code: Development R package GAS
    and will be updated more regularly then the one from CRAN.
    Vignette: "Generalized Autoregressive Score Models in R: The GAS Package".

  3. R package betategarch, v3.0:
    Computer code: R package betategarch.
    Vignette: "betategarch: An R Package for the Simulation and Estimation of Beta-skew-t-EGARCH Models".

  4. R package lgarch:
    Computer code: R package lgarch.
    Working paper: "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns".

  5. R code for simulations plus estimation of HMM with time varying transition probabilities corresponding to Bazzi, Blasques, Koopman, Lucas (2016): "Time Varying Transition Probabilities for Markov Regime Switching Models", Journal of Time Series Analysis.
    Computer code by Marco Bazzi: R package HMM.
    ReadMe file: ReadMe.R.

Matlab code

  1. Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics.
    Computer code: Matlab code.

  2. Example GAS volatility program by Rutger Lit and David Kranenburg, Matlab:
    Computer code: Matlab code, example data and readme file.

Ox code

  1. Computer code for examples in Lucas, Schaumburg, Schwaab (2018): "Bank business models at zero interest rates", Journal of Business and Economic Statistics.
    Computer code: Ox code.

  2. Computer code for Blasques, Francisco, Jiangyu Ji, and Andre Lucas (2016): "Semiparametric score driven volatility models", Journal of Computational Statistics and Data Analysis 100, 58-69.
    Computer code: Ox code.

  3. Computer code corresponding to Creal, Schwaab, Koopman, Lucas (2014): "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Review of Economics and Statistics.
    Computer code: Ox code with macro data.

  4. Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics.
    Computer code: Ox code.

  5. GAS volatility program, Ox:
    Computer code: Ox code, example data and readme file.

  6. GAS duration program, Ox:
    Computer code: Ox code, example data and readme file.